What are your details?

OS(Win XP etc)
LW & Java version (help > about LW & you'll see)
Firewall you're using
Modem/router brand & model
ISP
Connection type (DSL etc)
Where you connect from (home, school etc)
Are you sharing a connection with other computers
Is this your first try with LW

Double check your firewall (only run one at a time), there's a link here
Connection problems? Check here first!
Do the port test & see what result you get (link in thread)